This is not a bug in SBCL. ACL goes beyond what the CL spec says it should do in this case, allowing you to write non-conforming code.

This non-conforming code will not work everywhere.

You are using FUNCALL on something that is not a function designator, that is "of type (OR FUNCTION SYMBOL)".  Instead you try to
use it on a list containing a LAMBDA expression, which is NOT a function designator.

To get a function from a LAMBDA list, use COMPILE.